Dealing with the inventory risk: a solution to the market making problem (Q367376): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6208207 / rank | |||
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| Property / zbMATH Keywords | |||
stochastic optimal control | |||
| Property / zbMATH Keywords: stochastic optimal control / rank | |||
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high-frequency market making | |||
| Property / zbMATH Keywords: high-frequency market making / rank | |||
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Avellaneda-Stoikov problem | |||
| Property / zbMATH Keywords: Avellaneda-Stoikov problem / rank | |||
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Revision as of 11:58, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dealing with the inventory risk: a solution to the market making problem |
scientific article |
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Dealing with the inventory risk: a solution to the market making problem (English)
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13 September 2013
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stochastic optimal control
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high-frequency market making
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Avellaneda-Stoikov problem
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